lOMoARcPSD|26227685
KRI - Risk parameters annex - Q2 2020
Entrepreneurial Management (Frankfurt School of Finance & Management)
Studocu is not sponsored or endorsed by any college or university
Downloaded by Mark Fesenco (markfesenco2001@gmail.com)
lOMoARcPSD|26227685
RISK DASHBOARD ANNEX
CREDIT RISK PARAMETERS
Q2 2020
Downloaded by Mark Fesenco (markfesenco2001@gmail.com)
lOMoARcPSD|26227685
25th = 25th percentilE;
50th = 50th percentile;
75th = 75th percentile;
W.A = weighted average;
N = Number of observations
Tab le 1
Risk Par am e t e r s st at ist ics b y coun t r y of t h e coun t e r p ar t y f or IRB b an ks
EU an d m ain n o n -EU co u n t r ies
2 0 2 0 Q2
(So u r ce COREP C 9.02)
On ly st at ist ics f o r co u n t ries h av in g m o re t h an 3 b an ks rep o rt in g in t h at p art icu lar co u n t ry are sh o w n
Def au lt r at e
Cor p or at e s
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Au st r ia
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
Lo ss r at e
25t h
0 .0 0 %
50t h
0 .6 0 %
75t h
1 .2 5 %
W.A
0 .8 3 %
0.81%
0 .1 2 %
0.00%
0.11%
0.77%
0 .1 7 %
1.23%
0 .8 0 %
0.53%
0.23%
2.26%
1 .7 2 %
2.35%
1 .6 4 %
0.86%
0.51%
8.42%
2 .4 7 %
1.57%
0 .7 9 %
0.72%
0.24%
0.95%
1 .5 6 %
1.51%
0 .3 1 %
0.40%
0.42%
0.31%
0 .0 0 %
1.76%
0 .6 3 %
0.64%
0.99%
0.77%
0 .0 0 %
2.13%
1 .2 3 %
1.23%
2.32%
1.99%
1 .2 1 %
5
0 .3 4 %
0.00%
1.80%
0.76%
0 .0 0 %
1 .4 1 %
1.75%
2.18%
3.31%
0 .0 0 %
19
0 .9 2 %
1 .5 4 %
4
17
PD - ad ju st ed
LGD
25t h
0 .4 1 %
50t h
4 .9 3 %
75t h
2 1 .2 6 %
W.A
2 1 .0 9 %
N
58
25t h
0 .2 7 %
50t h
0 .5 7 %
75t h
1 .0 9 %
W.A
1 .1 4 %
N
25t h
5 9 3 2 .8 0 %
50t h
4 1 .9 7 %
75t h
4 4 .9 9 %
W.A
3 0 .8 4 %
18.19%
3 0 .4 6 %
5.73%
46.45%
38.31%
2 7 .9 7 %
27.11%
4 2 .7 0 %
11.41%
65.01%
55.54%
5 1 .9 5 %
22.61%
2 6 .4 3 %
7.52%
46.44%
49.11%
2 4 .2 8 %
26
71
64
28
59
14
9.10%
2 0 .7 0 %
5.33%
32.94%
26.48%
1 8 .5 2 %
66
0.39%
0 .6 1 %
0.41%
0.58%
1.18%
0 .2 6 %
1.97%
1 .2 1 %
0.69%
1.10%
1.98%
0 .5 0 %
2.45%
1 .8 0 %
1.53%
1.73%
5.15%
2 .1 0 %
2.30%
1 .3 7 %
1.20%
0.83%
1.87%
2 .0 1 %
25 28.04%
7 0 1 5 .2 6 %
64 10.61%
30 33.13%
56 27.64%
6 6 3 0 .9 1 %
37.59%
2 1 .0 9 %
14.06%
49.55%
40.04%
3 8 .0 2 %
40.22%
3 0 .2 6 %
21.30%
64.88%
54.88%
4 5 .0 0 %
30.63%
2 7 .5 5 %
11.50%
64.66%
56.73%
2 6 .6 4 %
1.85%
0 .9 7 %
0.86%
2.48%
1.36%
1 .2 2 %
7
32
19
18
24
7.49%
9 .2 6 %
4.22%
15.72%
20.37%
19.27%
1 5 .5 3 %
6.61%
32.63%
29.61%
22.34%
2 3 .7 9 %
11.00%
58.47%
37.60%
13.28%
1 0 .4 1 %
4.00%
13.00%
26.30%
34
69
64
29
62
0.35%
0 .8 0 %
0.55%
0.46%
0.85%
0 .3 4 %
2.06%
1 .2 2 %
1.03%
1.21%
1.67%
1 .0 3 %
2.74%
1 .8 8 %
1.54%
3.75%
2.79%
2 .3 2 %
2.45%
1 .1 2 %
1.03%
0.50%
1.69%
2 .2 0 %
33 25.72%
7 0 1 4 .2 7 %
67 11.39%
31 34.99%
61 25.47%
3 4 3 1 .7 8 %
35.82%
1 8 .4 3 %
15.54%
48.36%
37.04%
3 8 .9 3 %
44.97%
2 5 .0 3 %
19.73%
62.75%
51.24%
4 5 .0 0 %
25.41%
1 7 .3 1 %
13.34%
48.81%
33.12%
4 1 .8 0 %
5 .3 3 %
1.75%
8.05%
5.57%
2 .0 9 %
2 .6 4 %
1.92%
1.93%
4.48%
2 .2 7 %
23
2 3 .9 7 %
4 5 .9 4 %
6 0 .6 1 %
5 0 .1 8 %
9
20
54.98%
30.61%
56.45%
55.79%
75.31%
70.05%
77.04%
66.62%
0.80%
0 .6 4 %
0.26%
0.48%
0.81%
0 .6 0 %
2.48%
1 .3 9 %
0.48%
1.38%
2.26%
0 .9 6 %
4.73%
4 .5 5 %
2.70%
4.26%
5.77%
2 .2 4 %
3.24%
2 .8 3 %
2.41%
3.40%
3.93%
2 .3 9 %
20 11.57%
6 2 1 4 .9 3 %
47 10.96%
27 30.30%
52 32.80%
2 7 2 8 .1 0 %
41.01%
2 5 .9 8 %
13.98%
54.38%
46.51%
3 8 .0 0 %
45.00%
3 5 .1 5 %
18.30%
67.59%
59.49%
4 5 .0 0 %
40.08%
3 3 .0 3 %
23.54%
42.09%
56.17%
3 9 .7 7 %
6 .7 3 %
3 .4 8 %
17
2 0 .9 9 %
3 8 .1 2 %
5 5 .8 5 %
1 6 .7 1 %
4.85% 15.36%
4.10%
9.01%
1 .8 3 % 1 7 .0 1 %
1.48%
4.09%
9 .3 9 %
16
19.08%
39.15%
55.46%
17.05%
6
0.47%
1.03%
0 .0 0 %
0.54%
0 .5 3 %
0.14%
0.74%
1.05%
0 .7 7 %
3.90%
1 .1 6 %
0.50%
1.08%
2.51%
1 .1 8 %
10.72%
2 .6 3 %
0.86%
3.66%
3.78%
3 .0 0 %
4.18%
2 .4 9 %
2.03%
1.34%
2.77%
2 .6 9 %
8 41.26%
5 5 1 7 .1 7 %
35 10.00%
25 37.75%
45 31.42%
4 5 2 2 .5 6 %
44.00%
3 1 .8 9 %
13.48%
61.12%
42.93%
3 5 .0 0 %
66.00%
5 1 .9 6 %
26.11%
73.63%
56.07%
4 5 .0 0 %
41.57%
3 5 .0 1 %
29.34%
61.97%
38.22%
3 3 .5 3 %
16
0 .1 5 %
0 .5 0 %
2 .8 4 %
3 .2 0 %
11
8 .3 5 %
2 8 .4 9 %
4 4 .4 4 %
6 .8 2 %
5
13
1.54%
0.80%
0 .5 2 %
1.90%
3.83%
0 .7 7 %
1.30%
0.84%
0 .6 4 %
9
12
1.23%
0.23%
0 .0 0 %
6
25.03%
2 6 .6 4 %
44.44%
3 7 .0 6 %
62.92%
4 8 .8 2 %
34.14%
3 5 .7 6 %
51
1.11%
0 .4 8 %
0.26%
0.20%
0.65%
0 .2 1 %
2.32%
0 .9 9 %
0.61%
0.63%
1.54%
0 .7 0 %
3.37%
1 .8 0 %
1.27%
2.65%
2.80%
1 .6 4 %
3.14%
1 .1 5 %
1.09%
0.69%
1.27%
2 .2 6 %
15 17.93%
6 0 1 3 .6 1 %
45 11.59%
27 32.86%
51 31.06%
5 1 3 6 .0 4 %
35.00%
2 2 .4 1 %
14.76%
53.71%
39.60%
4 2 .5 4 %
45.00%
3 5 .9 6 %
19.73%
65.01%
49.31%
4 5 .0 0 %
22.71%
2 2 .2 4 %
14.21%
58.57%
22.42%
3 2 .1 8 %
9
30
13
12
24
0.80%
0 .2 0 %
0.42%
0.66%
1.49%
0.90%
0 .6 6 %
0.47%
0.93%
1.93%
1.36%
1 .0 3 %
0.58%
1.40%
4.33%
1.12%
0 .8 6 %
0.49%
1.55%
1.81%
6
25
9
10
19
21.88%
1 7 .3 2 %
6.85%
31.32%
27.01%
37.87%
3 1 .8 8 %
19.09%
47.47%
35.47%
50.28%
4 3 .4 0 %
21.31%
62.12%
55.04%
41.22%
3 3 .3 0 %
18.13%
29.41%
44.17%
23
67
54
29
52
0.63%
0 .4 2 %
0.22%
0.80%
1.22%
2.64%
0 .9 3 %
0.49%
1.56%
2.51%
4.00%
1 .6 4 %
0.99%
2.70%
3.79%
3.09%
1 .5 7 %
1.12%
3.16%
2.79%
23 29.71%
6 7 1 4 .7 9 %
55 10.00%
30 36.58%
52 30.87%
37.63%
2 4 .6 9 %
14.04%
53.94%
42.59%
45.00%
3 7 .7 3 %
19.55%
65.70%
55.89%
30.47%
2 7 .8 0 %
21.20%
52.33%
45.72%
N
13
6
31
10
12
29
16
N
8
4
25
7
9
24
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Belg iu m
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
8
38
22
19
28
5
34
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Bu lg ar ia
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
26
5
11
21
20
62
45
25
53
28
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Cr o at ia
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
8
56
35
23
46
43
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Cyp r u s
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
16
61
45
27
53
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Czech
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Downloaded by Mark Fesenco (markfesenco2001@gmail.com)
lOMoARcPSD|26227685
25th = 25th percentilE;
50th = 50th percentile;
75th = 75th percentile;
W.A = weighted average;
N = Number of observations
Tab le 1
Risk Par am e t e r s st at ist ics b y coun t r y of t h e coun t e r p ar t y f or IRB b an ks
EU an d m ain n o n -EU co u n t r ies
2 0 2 0 Q2
(So u r ce COREP C 9.02)
On ly st at ist ics f o r co u n t ries h av in g m o re t h an 3 b an ks rep o rt in g in t h at p art icu lar co u n t ry are sh o w n
Def au lt r at e
Cor p or at e s
Lo ss r at e
25t h
50t h
75t h
W.A
11
0 .0 0 %
0 .4 9 %
1 .1 0 %
0 .6 8 %
8
6
35
13
12
28
0.00%
0 .0 5 %
0.13%
0.78%
0.24%
0 .0 4 %
0.61%
0 .4 0 %
0.33%
2.48%
1.18%
0 .5 8 %
1.16%
1 .3 9 %
0.98%
4.67%
6.96%
0 .6 3 %
0.62%
0 .6 1 %
0.59%
1.86%
0.74%
0 .5 6 %
29
10
10
23
0.10%
0 .3 2 %
0.16%
0.43%
0.77%
0 .0 0 %
0.46%
1 .0 9 %
1.05%
3.82%
1.63%
0 .0 2 %
0.46%
2 .8 3 %
1.82%
7.32%
6.83%
0 .7 5 %
0.66%
0 .4 4 %
0.35%
2.81%
0.80%
1 .3 3 %
4
18
8
4
13
0.06%
0 .0 5 %
0.02%
0.26%
0.73%
0 .1 0 %
0.91%
0 .8 2 %
1.35%
1.37%
2.32%
0 .6 3 %
1.08%
2 .1 1 %
2.43%
3.19%
5.06%
1 .2 9 %
1.64%
1 .1 7 %
1.14%
1.92%
1.24%
0 .8 9 %
4
22
8
5
18
0.34%
0 .3 8 %
0.65%
0.42%
0.65%
0 .1 5 %
1.37%
1 .0 0 %
1.61%
0.74%
1.47%
0 .9 1 %
1.83%
1 .5 9 %
2.03%
2.33%
2.81%
1 .5 3 %
1.91%
0 .6 8 %
0.47%
0.95%
1.03%
1 .0 0 %
4
0.57%
0 .4 1 %
0.44%
0.23%
0.69%
4 .6 2 %
0.87%
2.93%
0 .8 4 %
1 .7 5 %
0.85%
1.94%
0.89%
1.95%
1.39%
2.11%
6 .9 3 % 2 5 .1 0 %
27
5
11
17
0 .1 0 %
0.00%
0.37%
0.24%
0 .6 4 %
0.00%
1.19%
0.93%
N
25t h
PD - ad ju st ed
50t h
75t h
W.A
5 .5 2 %
1 0 .1 2 %
3 2 .4 2 %
1 7 .2 5 %
1 3 .2 6 %
7.43%
22.01%
12.78%
1 9 .4 0 %
2 1 .9 5 %
9.47%
31.68%
22.86%
1 9 .8 4 %
3 6 .9 0 %
14.53%
36.51%
59.73%
3 0 .1 0 %
1 2 .7 4 %
8.88%
27.96%
42.36%
2 6 .9 4 %
14.11%
1 7 .2 7 %
4.22%
47.46%
22.51%
6 .5 4 %
16.70%
2 6 .8 5 %
6.83%
59.47%
29.94%
1 1 .0 4 %
25.34%
5 9 .4 6 %
22.28%
62.44%
43.59%
1 7 .5 0 %
28.57%
2 1 .3 5 %
20.05%
54.54%
23.37%
1 6 .1 3 %
8.36%
1 2 .0 9 %
3.81%
31.23%
15.94%
1 0 .2 4 %
9.52%
1 6 .0 5 %
7.53%
37.38%
27.63%
2 8 .6 9 %
11.61%
5 3 .3 8 %
11.57%
43.31%
54.28%
4 3 .0 5 %
11.35%
2 .3 4 %
1.63%
33.38%
5.92%
2 9 .2 7 %
28
16.66%
1 1 .1 8 %
2.62%
28.93%
19.97%
1 7 .9 2 %
22.58%
2 0 .7 3 %
8.59%
36.92%
28.41%
2 7 .7 0 %
52.66%
2 8 .2 7 %
17.91%
49.20%
42.43%
5 0 .2 6 %
32.29%
2 3 .6 5 %
11.35%
45.07%
31.92%
3 5 .6 6 %
72
0.79%
0 .6 0 %
0.37%
0.55%
1.25%
3 .7 5 %
15
53
31
25
43
18.25%
1 3 .0 2 %
7.84%
28.78%
20.19%
30.76%
2 2 .7 1 %
10.79%
37.59%
30.14%
52.56%
3 2 .8 7 %
15.56%
47.07%
41.97%
35.75%
2 5 .5 2 %
10.04%
39.60%
35.79%
49
76
70
34
66
4 .1 0 %
5.13%
1.52%
3.12%
23
2 3 .9 6 %
3 5 .4 3 %
5 9 .2 2 %
3 5 .3 8 %
11
15
26.49%
41.85%
50.36%
47.75%
59.22%
62.98%
83.33%
47.75%
N
LGD
25t h
50t h
75t h
W.A
50t h
59
0 .2 4 %
0 .5 8 %
1 .1 5 %
1 .2 3 %
75t h
W.A
6 1 3 0 .4 3 %
4 0 .0 4 %
4 5 .0 0 %
2 3 .0 0 %
26
67
56
24
52
0.83%
0 .6 7 %
0.36%
0.45%
1.05%
0 .4 0 %
1.33%
1 .2 3 %
0.92%
1.50%
2.15%
0 .9 9 %
2.21%
2 .5 1 %
1.80%
3.98%
3.65%
1 .7 3 %
1.58%
0 .8 9 %
0.83%
1.23%
2.10%
1 .2 6 %
27 15.62%
6 9 1 5 .0 8 %
58 11.62%
26 33.00%
54 29.88%
3 2 3 8 .3 2 %
27.11%
2 3 .0 0 %
14.74%
54.91%
43.16%
4 4 .7 9 %
43.76%
3 1 .5 6 %
19.25%
68.85%
55.24%
4 6 .1 7 %
19.25%
1 8 .1 5 %
16.49%
64.78%
40.45%
4 1 .3 5 %
1.23%
0 .6 9 %
0.37%
0.78%
0.99%
0 .3 4 %
1.49%
1 .5 7 %
0.72%
1.55%
2.83%
0 .5 3 %
2.94%
2 .8 5 %
1.61%
4.30%
4.71%
0 .8 1 %
1.67%
1 .3 7 %
1.04%
1.96%
2.81%
0 .9 3 %
14 39.06%
5 4 1 5 .1 6 %
36 10.19%
21 30.30%
44 28.83%
5 9 2 9 .6 6 %
44.39%
2 5 .3 3 %
13.01%
59.29%
42.83%
3 8 .1 7 %
45.00%
3 6 .3 6 %
20.00%
66.57%
53.91%
4 5 .0 0 %
39.67%
1 5 .8 2 %
12.50%
56.28%
30.20%
3 5 .2 6 %
0.36%
0 .4 8 %
0.33%
0.30%
0.72%
0 .4 1 %
1.38%
0 .8 9 %
0.62%
1.19%
2.13%
0 .6 7 %
3.26%
1 .9 6 %
1.12%
1.61%
3.83%
1 .8 5 %
1.42%
1 .3 5 %
0.95%
1.49%
3.32%
1 .7 1 %
18 23.79%
6 4 1 5 .4 8 %
51 11.10%
27 31.10%
50 25.01%
7 3 3 0 .7 5 %
34.26%
2 1 .3 8 %
14.68%
56.85%
39.82%
3 9 .1 0 %
45.00%
3 6 .1 8 %
20.92%
70.58%
54.00%
4 5 .0 0 %
32.30%
2 2 .9 1 %
20.58%
67.91%
32.37%
3 4 .9 9 %
0.66%
0 .8 2 %
0.59%
0.60%
1.44%
0 .2 9 %
2.33%
1 .3 3 %
1.08%
1.93%
2.35%
0 .7 7 %
3.85%
2 .2 9 %
1.66%
4.73%
4.15%
1 .4 4 %
2.73%
1 .5 6 %
1.14%
3.11%
2.06%
1 .1 4 %
43 23.77%
7 1 1 4 .5 8 %
68 11.42%
32 37.11%
62 26.72%
7 5 3 3 .0 4 %
37.07%
1 9 .1 5 %
14.41%
48.95%
40.28%
4 1 .1 5 %
45.00%
2 4 .8 1 %
19.15%
68.83%
50.41%
4 4 .9 0 %
35.79%
1 7 .6 7 %
13.04%
37.32%
23.64%
3 6 .2 1 %
34
0.94%
0 .7 8 %
0.54%
0.59%
1.32%
0 .5 9 %
1.84%
1 .4 0 %
0.92%
1.13%
2.96%
3 .3 1 %
3.70%
2 .4 4 %
1.52%
2.81%
4.08%
9 .5 2 %
1.25%
0 .9 4 %
0.68%
0.68%
1.87%
7 .2 4 %
51 24.54%
7 5 1 6 .8 4 %
71 11.98%
36 36.24%
64 31.64%
3 5 2 9 .3 7 %
37.42%
2 0 .9 1 %
16.30%
51.91%
39.56%
4 4 .0 7 %
44.80%
3 0 .5 6 %
19.66%
69.59%
51.71%
4 5 .2 8 %
31.58%
2 9 .2 0 %
18.19%
64.48%
46.57%
4 0 .2 2 %
10
59
44
25
52
0.65%
0 .4 6 %
0.20%
0.62%
1.00%
3.50%
1 .2 0 %
0.47%
1.81%
2.21%
8.56%
3 .8 3 %
2.76%
3.83%
6.19%
8.61%
1 4 .8 8 %
14.44%
6.84%
17.97%
11 37.08%
6 4 1 5 .8 2 %
45 10.00%
29 43.99%
55 19.96%
44.88%
2 8 .2 0 %
12.88%
56.41%
44.67%
52.53%
4 5 .8 0 %
20.08%
74.31%
54.62%
40.50%
3 6 .4 2 %
27.63%
74.68%
47.43%
N
N
25t h
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Den m ar k
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
6
4
32
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Est o n ia
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
5
20
9
6
15
10
5
14
54
35
22
45
58
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Fin lan d
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
5
26
12
8
20
25
21
18
62
50
26
48
72
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Fr an ce
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
10
48
30
21
42
38
7
42
27
18
37
41
72
66
32
62
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Ger m an y
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
17
60
36
27
50
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Gr eece
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
4 .1 0 %
5.13%
6.86%
5.35%
Downloaded by Mark Fesenco (markfesenco2001@gmail.com)
lOMoARcPSD|26227685
25th = 25th percentilE;
50th = 50th percentile;
75th = 75th percentile;
W.A = weighted average;
N = Number of observations
Tab le 1
Risk Par am e t e r s st at ist ics b y coun t r y of t h e coun t e r p ar t y f or IRB b an ks
EU an d m ain n o n -EU co u n t r ies
2 0 2 0 Q2
(So u r ce COREP C 9.02)
On ly st at ist ics f o r co u n t ries h av in g m o re t h an 3 b an ks rep o rt in g in t h at p art icu lar co u n t ry are sh o w n
Def au lt r at e
Cor p or at e s
Lo ss r at e
25t h
50t h
75t h
W.A
9
0 .1 6 %
0 .6 9 %
0 .8 9 %
0 .6 5 %
7
29
9
13
23
0.00%
0 .0 6 %
0.00%
0.68%
1.08%
0 .6 0 %
0.22%
0 .9 6 %
0.91%
1.59%
1.77%
1 .4 6 %
0.36%
2 .3 1 %
1.05%
5.32%
5.50%
2 .5 9 %
0.36%
2 .2 9 %
2.38%
3.10%
2.05%
1 .8 3 %
0.98%
0 .8 5 %
1.66%
1.10%
0.21%
0 .1 8 %
1.36%
1 .8 3 %
2.65%
1.43%
1.03%
0 .6 0 %
6.43%
4 .5 2 %
5.08%
2.73%
2.81%
1 .0 7 %
3.05%
1 .5 5 %
1.50%
1.33%
2.77%
1 .0 1 %
1.25%
0 .2 8 %
0.64%
0.60%
0.34%
0 .0 2 %
1.43%
0 .8 8 %
1.06%
1.75%
1.61%
0 .8 0 %
2.24%
1 .7 6 %
1.69%
2.89%
2.71%
2 .8 6 %
1.79%
4 .3 7 %
3.57%
0.63%
5.94%
2 .6 8 %
12
41
22
21
34
0 .5 8 %
0.00%
2.33%
0.64%
0 .1 3 %
2 .2 5 %
0.50%
9.48%
11.15%
0 .1 3 %
8 .0 4 %
0.57%
24.24%
27.29%
1 .7 9 %
0 .8 9 %
0.90%
8.90%
0.85%
1 .6 7 %
25
0.83%
0 .2 1 %
0.00%
0.13%
0.52%
0 .0 3 %
0.83%
0 .7 5 %
0.40%
1.16%
2.85%
0 .1 9 %
2.97%
2 .5 8 %
2.69%
8.26%
7.15%
0 .6 3 %
3.79%
1 .3 5 %
1.44%
4.45%
0.85%
0 .4 3 %
9
26
13
14
22
0.00%
0 .2 2 %
0.28%
0.30%
0.36%
0.66%
0 .5 1 %
0.58%
0.75%
1.37%
1.25%
1 .0 6 %
1.27%
2.06%
3.34%
1.82%
0 .4 3 %
0.29%
0.28%
1.16%
N
PD - ad ju st ed
25t h
50t h
75t h
W.A
5
1 4 .5 6 %
7 7 .2 3 %
7 8 .3 9 %
6 2 .7 9 %
21
2 8 .7 7 %
4 3 .0 3 %
5 2 .1 5 %
5 2 .6 1 %
9
18
35.09%
42.62%
0 .2 8 %
45.79%
46.99%
1 4 .4 1 %
57.23%
57.69%
2 2 .2 7 %
39.66%
49.97%
1 9 .5 5 %
12.11%
1 0 .8 4 %
9.69%
16.42%
26.85%
1 8 .9 7 %
16.59%
1 8 .1 3 %
15.59%
22.99%
42.15%
2 7 .6 8 %
21.01%
3 3 .4 2 %
29.22%
44.46%
48.97%
3 4 .3 1 %
20.12%
1 8 .4 0 %
17.66%
14.97%
30.54%
2 5 .5 1 %
5
23.33%
1 6 .1 2 %
9.69%
23.99%
22.19%
6 .7 3 %
27.48%
2 5 .9 8 %
13.72%
32.44%
32.44%
1 4 .2 7 %
33.56%
4 3 .3 0 %
19.19%
51.72%
52.66%
2 0 .1 1 %
26.32%
4 3 .9 5 %
35.94%
24.71%
52.88%
1 6 .6 4 %
31
17
4
4
14
2 0 .4 6 %
13.39%
32.85%
26.22%
4 2 .8 0 %
16.94%
42.80%
50.00%
5 4 .0 2 %
25.45%
70.37%
61.88%
2 7 .5 5 %
25.08%
48.68%
34.17%
15
52
37
21
48
N
LGD
25t h
50t h
75t h
W.A
45
0 .5 2 %
1 .1 4 %
1 .9 7 %
1 .8 8 %
22
60
49
27
52
1.55%
0 .5 7 %
0.24%
0.34%
1.29%
0 .2 9 %
2.16%
1 .1 2 %
0.53%
1.98%
2.81%
0 .7 7 %
4.49%
2 .5 9 %
1.38%
3.89%
4.93%
1 .9 9 %
0.75%
0 .5 9 %
0.62%
0.41%
0.80%
0 .5 7 %
1.97%
2 .0 3 %
1.26%
1.41%
2.18%
1 .2 0 %
1.09%
0 .8 4 %
0.43%
1.13%
1.40%
0 .3 4 %
N
50t h
75t h
W.A
4 3 3 0 .8 4 %
4 4 .9 9 %
4 5 .0 0 %
4 2 .3 6 %
3.15%
3 .2 9 %
2.67%
1.55%
4.31%
1 .2 0 %
21 33.94%
6 2 1 6 .2 7 %
51 11.02%
29 34.29%
50 34.05%
6 4 2 6 .8 3 %
45.00%
2 9 .6 1 %
15.10%
58.95%
45.29%
3 9 .8 8 %
47.20%
3 9 .4 0 %
26.79%
69.01%
57.24%
4 5 .0 0 %
47.32%
4 2 .0 6 %
33.72%
63.20%
59.12%
3 2 .0 4 %
4.85%
3 .7 6 %
2.40%
3.35%
6.24%
2 .6 8 %
2.90%
2 .2 6 %
2.10%
2.37%
4.24%
5 .1 7 %
32 15.26%
7 3 1 6 .4 3 %
67 12.16%
27 33.67%
61 27.17%
6 5 3 3 .3 4 %
35.03%
1 9 .5 5 %
18.23%
55.60%
44.57%
4 0 .2 8 %
45.00%
2 8 .6 1 %
24.43%
71.76%
54.23%
4 5 .0 0 %
35.09%
2 6 .1 3 %
23.57%
61.57%
61.30%
3 8 .2 3 %
3.27%
1 .4 3 %
0.96%
2.33%
2.65%
1 .7 3 %
8.74%
2 .6 2 %
1.45%
3.76%
5.23%
4 .5 3 %
9.37%
2 .6 2 %
1.79%
3.82%
6.28%
1 .7 5 %
32 26.08%
7 2 1 7 .5 1 %
66 12.37%
33 37.99%
65 31.57%
3 0 3 9 .7 8 %
38.71%
2 2 .3 5 %
14.87%
58.52%
42.75%
4 4 .5 8 %
45.00%
3 1 .7 4 %
22.06%
70.10%
58.20%
4 5 .0 0 %
39.92%
2 6 .1 6 %
18.79%
57.82%
41.97%
4 2 .0 7 %
0.56%
0 .6 0 %
0.13%
0.56%
0.60%
0 .4 4 %
1.86%
1 .4 9 %
0.59%
1.89%
2.53%
1 .0 9 %
4.53%
3 .1 3 %
1.47%
5.28%
4.51%
1 .9 9 %
1.80%
2 .7 1 %
2.17%
4.88%
4.20%
1 .4 2 %
15 37.18%
5 2 1 7 .7 0 %
37 13.40%
22 41.45%
45 27.76%
3 1 4 0 .0 1 %
41.53%
2 7 .2 7 %
16.77%
62.15%
42.25%
4 4 .5 6 %
45.00%
4 2 .7 2 %
22.25%
70.45%
57.43%
4 5 .7 0 %
39.10%
2 4 .8 4 %
18.66%
60.73%
42.58%
4 1 .5 0 %
1.49%
1 .5 2 %
0.74%
1.03%
2.04%
0 .7 0 %
3.54%
3 .6 2 %
2.40%
2.51%
4.00%
1 .2 4 %
1.81%
1 .4 3 %
1.21%
2.02%
2.78%
1 .0 0 %
12 41.27%
5 3 1 7 .8 3 %
35 10.00%
21 34.22%
43 30.00%
7 1 3 0 .7 5 %
44.83%
2 6 .4 8 %
16.70%
57.01%
40.94%
3 8 .0 5 %
47.20%
3 8 .9 1 %
23.27%
70.05%
55.31%
4 4 .3 3 %
38.97%
1 8 .4 2 %
15.65%
55.79%
37.33%
3 3 .3 8 %
0.99%
1 .3 1 %
0.78%
1.23%
1.83%
2.95%
2 .4 8 %
1.68%
3.78%
3.47%
2.34%
1 .0 8 %
0.98%
0.63%
1.95%
41 18.84%
6 5 1 4 .1 8 %
60 11.16%
29 32.38%
57 24.38%
39.47%
1 8 .6 7 %
15.46%
48.35%
36.10%
45.00%
2 6 .0 4 %
19.94%
64.59%
48.38%
29.26%
1 6 .0 4 %
14.34%
6.49%
23.44%
N
25t h
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Hu n g ar y
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
15
10
60
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Ir elan d
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
6
34
20
13
26
20
6
32
20
12
21
15
31
70
65
26
64
65
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
It aly
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
13
48
26
23
40
6
31
70
65
31
64
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Lat via
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
20
6
6
17
5
33
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Lit h u an ia
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
5
20
8
6
15
12
55
34
21
44
11
2 8 .2 9 %
8.46%
28.29%
29.31%
3 .3 9 %
3 8 .3 3 %
10.62%
40.78%
48.34%
1 0 .9 5 %
5 1 .0 8 %
34.22%
55.76%
53.49%
2 3 .9 4 %
3 2 .3 3 %
32.27%
47.67%
32.86%
9 .5 4 %
70
0.55%
0 .5 0 %
0.25%
0.39%
0.50%
0 .3 6 %
28
15
14
19
6 .2 6 %
1.79%
22.25%
10.00%
2 4 .7 7 %
7.12%
36.19%
38.23%
3 4 .3 5 %
29.95%
47.65%
47.27%
1 1 .5 0 %
2.02%
33.67%
19.51%
40
63
58
28
53
0.42%
0 .5 5 %
0.50%
0.48%
0.81%
18
5
5
15
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Lu xem b o u r g
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Downloaded by Mark Fesenco (markfesenco2001@gmail.com)
lOMoARcPSD|26227685
25th = 25th percentilE;
50th = 50th percentile;
75th = 75th percentile;
W.A = weighted average;
N = Number of observations
Tab le 1
Risk Par am e t e r s st at ist ics b y coun t r y of t h e coun t e r p ar t y f or IRB b an ks
EU an d m ain n o n -EU co u n t r ies
2 0 2 0 Q2
(So u r ce COREP C 9.02)
On ly st at ist ics f o r co u n t ries h av in g m o re t h an 3 b an ks rep o rt in g in t h at p art icu lar co u n t ry are sh o w n
Def au lt r at e
25t h
50t h
6
0 .0 0 %
0 .0 6 % 1 6 .2 8 %
17
6
7
15
0 .0 3 %
0.00%
0.00%
0.03%
0 .0 0 %
0 .2 3 %
7.99%
1.03%
0.68%
0 .5 4 %
1.89%
0 .1 2 %
0.35%
0.62%
0.05%
0 .0 0 %
N
Cor p or at e s
75t h
Lo ss r at e
W.A
N
PD - ad ju st ed
25t h
50t h
75t h
W.A
1 5 .9 9 %
5
3 7 .7 1 %
4 6 .2 8 %
5 9 .4 3 %
4 8 .6 3 %
1 .0 7 %
22.69%
5.47%
2.19%
2 .3 0 %
1 .6 3 %
11.90%
1.23%
0.93%
1 .8 5 %
16
5
5
14
6 .1 3 %
0.10%
16.64%
24.53%
9 .3 1 %
1 4 .3 4 %
6.00%
64.15%
42.28%
1 3 .2 3 %
6 5 .9 3 %
6.67%
65.15%
70.41%
6 8 .9 6 %
8 .9 2 %
3.56%
25.09%
39.10%
1 3 .4 2 %
2.87%
0 .4 5 %
0.53%
1.18%
0.42%
1 .1 0 %
4.51%
1 .1 2 %
1.25%
5.17%
2.26%
2 .7 0 %
3.57%
0 .6 9 %
0.62%
0.64%
1.91%
1 .1 6 %
4
39
17
16
26
11.01%
8 .9 7 %
3.99%
32.12%
23.84%
1 .7 2 %
14.34%
1 7 .9 5 %
7.93%
45.77%
38.53%
1 7 .5 1 %
44.65%
3 2 .6 6 %
12.91%
51.96%
53.42%
3 6 .4 0 %
11.44%
9 .9 1 %
5.34%
44.12%
33.79%
2 3 .5 9 %
0.08%
0 .1 7 %
0.09%
0.36%
0.16%
0 .0 0 %
0.23%
0 .3 4 %
0.21%
1.05%
0.68%
0 .7 2 %
1.42%
1 .5 6 %
1.51%
1.35%
2.66%
1 .2 4 %
0.91%
0 .3 6 %
0.20%
1.11%
1.21%
1 .1 7 %
4
25
6
9
18
10.41%
1 6 .2 3 %
2.96%
27.53%
22.99%
1 4 .3 2 %
18.44%
2 4 .0 0 %
7.41%
32.62%
36.81%
3 1 .4 2 %
33.48%
4 4 .2 8 %
17.57%
51.17%
53.53%
6 8 .6 1 %
18.76%
1 9 .3 0 %
6.38%
35.40%
27.42%
2 9 .5 0 %
0 .1 2 %
0.34%
0.58%
0.69%
0 .1 2 %
1 .1 9 %
0.74%
1.64%
3.53%
0 .9 4 %
4 .7 9 %
7.01%
6.53%
9.83%
2 .4 6 %
1 .3 3 %
0.66%
1.78%
2.72%
2 .3 2 %
31
7
11
25
1 2 .9 8 %
7.32%
24.53%
21.83%
2 .0 4 %
3 2 .4 6 %
18.75%
52.49%
37.03%
2 1 .2 2 %
5 6 .5 7 %
32.90%
57.98%
57.67%
3 4 .7 4 %
3 3 .0 8 %
26.70%
54.30%
34.50%
2 4 .6 2 %
2.97%
0 .9 0 %
1.81%
1.38%
2.16%
0 .0 0 %
3.26%
2 .4 0 %
3.49%
2.57%
3.50%
0 .4 3 %
3.58%
1 .3 5 %
1.07%
0.94%
2.69%
2 .9 3 %
4
27
11
11
24
7
2.61%
0 .3 2 %
1.21%
0.93%
0.33%
0 .0 0 %
4
21.77%
1 2 .3 7 %
3.98%
19.12%
31.74%
2 1 .0 2 %
24.74%
2 6 .1 4 %
7.88%
33.93%
37.43%
5 1 .0 6 %
27.54%
4 1 .2 7 %
20.02%
55.04%
42.87%
7 0 .4 4 %
23.47%
1 8 .3 6 %
10.73%
24.15%
31.41%
7 2 .3 4 %
4
37
6
15
28
0.00%
0 .6 8 %
0.00%
3.52%
2.19%
0.65%
2 .0 0 %
0.00%
7.56%
5.76%
4.49%
5 .4 3 %
8.69%
15.27%
18.18%
6.47%
6 .9 7 %
8.69%
1.78%
8.51%
33
3 3 .4 0 %
5 0 .9 8 %
6 1 .3 0 %
5 6 .2 5 %
12
28
37.58%
32.58%
50.01%
47.64%
64.61%
62.05%
63.55%
71.69%
LGD
25t h
50t h
75t h
W.A
50t h
43
0 .4 5 %
1 .3 2 %
2 .6 7 %
6 .1 7 %
75t h
W.A
4 4 1 7 .2 7 %
3 8 .0 1 %
4 5 .0 0 %
2 5 .2 0 %
19
62
49
26
57
0.70%
0 .4 5 %
0.31%
0.20%
0.77%
0 .2 4 %
1.49%
0 .9 2 %
0.54%
0.84%
1.65%
0 .6 4 %
4.25%
2 .0 9 %
1.23%
1.60%
2.53%
1 .0 9 %
1.45%
1 .2 3 %
1.21%
2.17%
1.23%
1 .4 8 %
19 42.29%
6 4 1 4 .4 9 %
50 10.12%
27 30.30%
55 24.14%
7 1 3 1 .5 5 %
45.00%
2 0 .8 8 %
16.65%
46.94%
38.39%
3 9 .6 7 %
52.99%
3 6 .3 7 %
20.55%
68.56%
54.46%
4 5 .0 0 %
51.96%
1 0 .7 3 %
15.16%
69.05%
7.36%
2 6 .8 2 %
0.43%
0 .7 7 %
0.56%
0.89%
1.43%
0 .1 8 %
1.07%
1 .4 2 %
0.91%
2.21%
2.35%
0 .5 2 %
2.58%
2 .1 4 %
1.61%
4.04%
3.83%
1 .5 4 %
2.72%
0 .7 4 %
0.67%
3.37%
2.28%
1 .5 7 %
37 29.74%
7 2 1 4 .6 4 %
67 11.86%
29 35.23%
63 25.43%
6 0 2 5 .9 6 %
37.64%
1 8 .1 3 %
14.92%
58.00%
34.46%
3 5 .0 0 %
45.00%
2 5 .1 4 %
19.55%
70.72%
52.25%
4 5 .0 0 %
17.85%
1 2 .8 4 %
11.13%
58.95%
43.44%
2 7 .1 4 %
0.54%
0 .6 1 %
0.40%
0.33%
0.58%
0 .3 2 %
1.00%
1 .3 4 %
0.91%
1.19%
1.49%
0 .7 1 %
2.96%
2 .3 4 %
2.11%
2.52%
4.37%
2 .2 2 %
1.11%
0 .9 5 %
0.75%
1.16%
2.12%
1 .6 5 %
19 21.44%
6 6 1 4 .0 2 %
57 12.14%
27 34.12%
54 27.46%
5 3 3 2 .8 9 %
29.78%
2 0 .4 0 %
15.76%
55.49%
38.29%
4 0 .2 5 %
44.87%
3 1 .4 3 %
20.15%
76.39%
55.10%
4 5 .0 0 %
23.86%
2 1 .5 1 %
19.86%
62.03%
31.37%
3 7 .6 5 %
0.50%
0 .7 0 %
0.35%
1.12%
1.68%
0 .3 6 %
1.32%
1 .3 9 %
0.70%
2.34%
3.28%
0 .7 2 %
2.26%
3 .0 2 %
1.43%
4.25%
5.92%
1 .9 0 %
2.18%
1 .5 5 %
0.68%
2.37%
3.69%
3 .5 0 %
31 23.00%
6 6 1 5 .3 9 %
55 11.36%
30 35.26%
58 30.65%
5 1 3 1 .2 3 %
38.53%
2 5 .2 6 %
16.36%
57.15%
40.93%
4 0 .2 7 %
45.00%
3 6 .7 6 %
24.00%
68.85%
57.91%
4 5 .0 0 %
32.40%
3 5 .9 9 %
30.83%
64.39%
44.68%
4 1 .2 9 %
42
0.30%
0 .4 3 %
0.20%
0.34%
0.77%
0 .3 4 %
1.14%
1 .2 8 %
0.74%
1.72%
1.68%
0 .9 3 %
4.45%
1 .8 4 %
1.47%
3.74%
3.30%
3 .1 0 %
5.62%
1 .5 2 %
1.18%
4.62%
3.50%
2 .5 2 %
24 18.95%
6 6 1 5 .1 4 %
57 10.82%
30 28.53%
56 27.83%
4 1 3 6 .6 3 %
39.26%
2 1 .5 0 %
14.87%
48.69%
36.32%
4 4 .8 7 %
44.59%
3 7 .4 8 %
18.45%
66.30%
48.62%
4 5 .1 4 %
40.58%
2 0 .4 0 %
17.70%
37.98%
32.27%
4 0 .8 4 %
26
62
51
25
57
0.58%
0 .5 4 %
0.22%
1.19%
1.00%
1.26%
1 .1 4 %
0.44%
2.32%
2.99%
3.56%
3 .4 3 %
1.20%
9.21%
7.86%
3.15%
2 .1 3 %
1.06%
0.89%
3.05%
25 24.74%
6 6 1 7 .0 6 %
51 10.58%
27 38.78%
58 26.80%
42.07%
2 7 .9 7 %
14.81%
60.01%
44.09%
45.00%
3 9 .4 1 %
19.32%
70.03%
60.69%
41.86%
4 8 .2 0 %
35.97%
51.06%
58.93%
N
N
25t h
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Malt a
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
18
14
70
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Net h er lan d s
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
6
43
21
18
31
11
7
37
72
67
28
64
59
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
No r w ay
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
6
31
12
12
22
12
8
19
65
56
26
56
51
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Po lan d
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
38
10
15
29
9
6
29
65
55
28
60
49
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Po r t u g al
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
5
31
14
12
27
23
65
55
28
55
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Ro m an ia
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Downloaded by Mark Fesenco (markfesenco2001@gmail.com)
lOMoARcPSD|26227685
25th = 25th percentilE;
50th = 50th percentile;
75th = 75th percentile;
W.A = weighted average;
N = Number of observations
Tab le 1
Risk Par am e t e r s st at ist ics b y coun t r y of t h e coun t e r p ar t y f or IRB b an ks
EU an d m ain n o n -EU co u n t r ies
2 0 2 0 Q2
(So u r ce COREP C 9.02)
On ly st at ist ics f o r co u n t ries h av in g m o re t h an 3 b an ks rep o rt in g in t h at p art icu lar co u n t ry are sh o w n
Def au lt r at e
Cor p or at e s
Lo ss r at e
25t h
50t h
75t h
W.A
11
0 .0 0 %
0 .4 2 %
0 .6 9 %
2 .3 7 %
9
19
10
8
14
7
0.01%
0 .2 0 %
0.00%
0.42%
2.08%
0 .0 0 %
0.39%
0 .8 2 %
0.60%
0.73%
2.79%
0 .6 4 %
1.65%
2 .2 1 %
0.77%
1.39%
6.77%
1 .1 2 %
6.34%
0 .8 9 %
0.64%
0.96%
2.32%
0 .6 9 %
5
13
0.00%
0 .3 2 %
1.78%
0 .8 4 %
2.29%
1 .5 0 %
2.08%
1 .8 6 %
5
10
0.63%
1.30%
0 .0 6 %
1.28%
3.58%
0 .9 1 %
3.26%
12.12%
2 .6 7 %
2.63%
2.64%
1 .9 4 %
0.32%
0 .3 0 %
0.61%
0.33%
0.85%
0 .0 1 %
1.78%
0 .7 6 %
1.22%
0.93%
2.65%
0 .2 9 %
2.31%
1 .7 0 %
1.90%
1.61%
6.16%
0 .7 8 %
2.12%
1 .5 3 %
1.07%
1.11%
3.51%
0 .4 0 %
0.13%
0 .0 9 %
0.06%
0.87%
0.22%
0 .2 8 %
0.40%
0 .2 0 %
0.08%
1.36%
1.05%
0 .7 6 %
3.33%
1 .2 7 %
0.99%
3.31%
2.46%
1 .8 7 %
0.45%
0 .1 4 %
0.09%
1.37%
0.69%
1 .0 7 %
2.43%
0 .9 3 %
1.34%
1.04%
1.51%
1 .7 3 %
7.66%
2 .1 0 %
4.78%
2.06%
2.72%
6 .3 1 %
3.45%
0 .6 6 %
0.45%
1.06%
2.34%
1 .8 8 %
8
53
36
23
42
7
0.00%
0 .4 1 %
0.60%
0.81%
0.39%
0 .3 1 %
27
9
13
21
0 .1 0 %
0.00%
0.23%
0.39%
0 .2 6 %
0.73%
0.97%
1.25%
1 .1 8 %
2.17%
1.62%
3.76%
0 .6 1 %
0.74%
1.16%
3.10%
N
PD - ad ju st ed
25t h
50t h
75t h
W.A
7
3 8 .4 7 %
4 3 .6 4 %
8 3 .3 4 %
7 5 .6 7 %
6
14
6
7
11
4
34.66%
2 9 .5 4 %
18.26%
40.46%
48.27%
1 0 .7 3 %
44.79%
3 9 .2 0 %
21.83%
53.29%
52.00%
2 8 .2 3 %
82.19%
5 0 .7 8 %
40.20%
59.44%
62.45%
3 5 .1 2 %
73.33%
4 4 .5 6 %
30.35%
53.20%
66.99%
2 8 .9 9 %
13
2 9 .6 9 %
4 6 .8 5 %
5 8 .1 2 %
5 7 .0 6 %
5
10
29.15%
29.69%
9 .4 1 %
36.38%
52.48%
1 6 .7 4 %
40.96%
60.39%
3 3 .3 5 %
45.52%
57.48%
3 1 .2 2 %
20.78%
1 6 .2 1 %
6.55%
24.93%
20.86%
6 .8 4 %
30.95%
2 7 .9 7 %
9.43%
32.92%
38.36%
3 8 .2 4 %
41.00%
3 9 .3 1 %
17.65%
47.65%
50.95%
4 8 .5 3 %
31.00%
3 2 .3 8 %
15.84%
54.29%
48.47%
3 5 .8 2 %
20.25%
1 5 .2 2 %
4.50%
20.74%
26.11%
4 .3 9 %
23.69%
2 6 .4 6 %
5.60%
37.22%
34.81%
1 0 .3 0 %
32.93%
4 4 .4 6 %
19.16%
54.25%
49.95%
2 3 .0 5 %
28.55%
1 5 .3 8 %
4.75%
35.21%
29.26%
1 0 .9 0 %
7
4.06%
8 .8 2 %
4.30%
27.25%
23.04%
1 0 .2 4 %
6.73%
1 5 .0 9 %
10.55%
39.90%
32.88%
1 2 .0 1 %
16.23%
2 7 .4 0 %
13.91%
49.06%
53.24%
1 4 .6 4 %
10.82%
2 3 .0 9 %
6.22%
44.51%
37.40%
1 9 .3 8 %
19
4
9
15
1 4 .5 9 %
5.26%
24.82%
23.30%
2 4 .8 2 %
7.55%
28.75%
31.81%
3 1 .7 7 %
16.56%
32.50%
53.07%
7 .3 2 %
6.14%
32.04%
18.68%
N
LGD
25t h
50t h
75t h
W.A
50t h
44
0 .2 5 %
1 .1 4 %
2 .4 8 %
1 .9 1 %
75t h
W.A
4 2 3 5 .0 0 %
4 1 .5 6 %
4 5 .0 0 %
4 0 .6 1 %
24
57
40
23
44
0.70%
0 .2 9 %
0.14%
0.35%
0.82%
0 .7 3 %
2.69%
0 .9 5 %
0.36%
0.84%
1.89%
1 .5 6 %
3.52%
1 .8 6 %
0.94%
2.11%
3.89%
3 .2 1 %
3.60%
1 .3 0 %
0.99%
2.79%
3.20%
4 .7 9 %
24 28.89%
5 5 1 8 .1 5 %
40 11.73%
24 39.06%
43 30.68%
2 5 3 5 .0 0 %
42.05%
2 5 .6 6 %
18.01%
60.89%
43.63%
4 2 .2 2 %
45.00%
4 1 .9 2 %
21.74%
67.70%
57.99%
4 5 .0 0 %
41.65%
2 4 .2 6 %
20.61%
55.40%
44.03%
4 0 .0 9 %
1.33%
0 .2 0 %
0.11%
0.38%
0.39%
0 .5 9 %
2.90%
0 .7 0 %
0.24%
1.04%
1.53%
1 .0 0 %
4.36%
2 .6 5 %
1.36%
3.23%
3.56%
2 .4 0 %
5.06%
2 .5 2 %
2.22%
2.26%
2.62%
2 .5 0 %
10 37.24%
5 4 1 4 .3 9 %
34 10.68%
27 32.20%
41 15.94%
6 7 3 0 .0 0 %
41.62%
2 8 .0 8 %
13.88%
62.73%
39.58%
3 9 .0 8 %
45.00%
4 0 .8 0 %
24.00%
72.61%
52.65%
4 5 .0 0 %
42.07%
2 5 .0 0 %
17.12%
66.15%
28.40%
3 8 .5 4 %
0.59%
0 .7 1 %
0.48%
0.43%
1.22%
0 .3 4 %
2.04%
1 .4 7 %
0.97%
2.40%
2.63%
0 .5 8 %
5.73%
3 .0 4 %
1.94%
3.48%
5.08%
1 .4 7 %
3.64%
1 .9 6 %
1.29%
2.74%
4.03%
0 .7 3 %
43 20.27%
7 2 1 6 .7 6 %
65 11.09%
29 42.80%
61 30.54%
6 6 2 8 .6 5 %
37.92%
2 2 .7 5 %
15.47%
57.29%
40.65%
4 1 .1 0 %
45.00%
3 1 .6 9 %
20.56%
69.02%
52.74%
4 5 .0 0 %
39.92%
2 8 .7 6 %
20.64%
61.32%
52.99%
2 4 .7 5 %
0.44%
0 .4 4 %
0.28%
0.48%
1.02%
0 .4 6 %
0.63%
1 .1 2 %
0.60%
1.70%
2.15%
0 .8 3 %
1.75%
2 .1 3 %
1.39%
2.90%
4.52%
1 .6 8 %
0.72%
0 .3 6 %
0.29%
1.39%
1.47%
1 .3 7 %
28 18.90%
7 1 1 4 .0 2 %
62 10.29%
27 35.99%
60 25.12%
7 4 2 7 .3 6 %
31.48%
2 0 .1 7 %
14.08%
53.48%
37.44%
3 5 .0 5 %
45.00%
3 2 .9 6 %
20.01%
68.70%
55.76%
4 4 .3 1 %
17.79%
1 2 .5 7 %
10.94%
58.36%
34.12%
3 5 .6 3 %
48
0.78%
0 .9 3 %
0.97%
0.91%
1.08%
0 .2 0 %
2.08%
1 .5 1 %
1.36%
1.60%
2.20%
0 .6 1 %
3.84%
2 .9 6 %
2.57%
3.39%
3.79%
1 .3 9 %
2.10%
1 .6 0 %
1.36%
1.96%
4.47%
1 .0 5 %
50 23.52%
7 4 1 4 .9 9 %
70 11.21%
35 31.24%
66 22.98%
4 7 2 2 .7 4 %
38.48%
1 8 .6 5 %
15.14%
57.60%
38.10%
3 6 .5 5 %
45.00%
2 6 .3 9 %
19.79%
73.51%
51.13%
4 5 .0 0 %
27.88%
2 0 .3 3 %
10.46%
71.30%
55.68%
2 8 .4 8 %
19
67
60
27
59
0.33%
0 .3 4 %
0.30%
0.49%
0.49%
1.19%
0 .7 1 %
0.69%
1.32%
1.20%
2.11%
1 .5 7 %
1.52%
2.47%
3.83%
0.99%
0 .9 0 %
0.88%
1.13%
1.79%
18 15.82%
6 8 1 2 .9 8 %
61 10.33%
28 31.19%
61 26.81%
32.16%
1 8 .5 0 %
13.43%
50.56%
41.49%
47.02%
2 6 .9 7 %
18.51%
66.99%
60.95%
10.68%
1 2 .9 0 %
12.41%
61.89%
24.99%
N
N
25t h
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Slo vakia
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
26
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Slo ven ia
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
22
16
9
53
34
26
42
66
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Sp ain
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
9
41
18
19
35
17
8
37
15
17
34
10
42
71
64
27
58
66
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Sw ed en
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
8
38
13
14
27
27
6
31
10
12
24
22
27
69
59
26
59
73
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Un it ed Kin g d o m
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
11
59
37
25
48
49
72
69
33
65
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Au st r alia
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Downloaded by Mark Fesenco (markfesenco2001@gmail.com)
lOMoARcPSD|26227685
25th = 25th percentilE;
50th = 50th percentile;
75th = 75th percentile;
W.A = weighted average;
N = Number of observations
Tab le 1
Risk Par am e t e r s st at ist ics b y coun t r y of t h e coun t e r p ar t y f or IRB b an ks
EU an d m ain n o n -EU co u n t r ies
2 0 2 0 Q2
(So u r ce COREP C 9.02)
On ly st at ist ics f o r co u n t ries h av in g m o re t h an 3 b an ks rep o rt in g in t h at p art icu lar co u n t ry are sh o w n
Def au lt r at e
Cor p or at e s
Lo ss r at e
25t h
50t h
75t h
W.A
25t h
8
0 .0 0 %
0 .0 1 %
0 .1 7 %
0 .4 5 %
6
35
9
15
27
6
0 .0 8 %
0.00%
0.52%
0.16%
0 .1 3 %
0 .3 5 %
0.90%
0.82%
1.29%
0 .3 1 %
0 .9 4 %
1.90%
1.18%
3.80%
5 .0 0 %
0 .3 8 %
0.18%
0.83%
1.88%
0 .5 3 %
32
6
12
23
13
0 .0 7 %
0.00%
0.28%
0.08%
0 .2 3 %
0 .3 9 %
0.92%
1.17%
0.80%
0 .7 1 %
0 .9 4 %
1.89%
4.76%
2.43%
2 .3 1 %
19
7
7
14
9
0 .0 2 %
0.00%
0.00%
0.00%
0 .0 0 %
0 .1 2 %
0.03%
0.09%
0.18%
1 .2 2 %
29
6
13
13
0 .1 8 %
0.00%
0.24%
2.81%
12
4
PD - ad ju st ed
50t h
75t h
W.A
5 .6 2 %
2 5 .3 2 %
3 1 .0 5 %
2 2 .3 5 %
30
4
14
23
1 3 .0 9 %
2.63%
12.53%
18.55%
2 1 .1 6 %
5.90%
25.09%
28.75%
3 4 .9 4 %
8.43%
33.77%
38.39%
8 .1 4 %
6.30%
8.40%
13.96%
0 .0 6 %
1.27%
0.27%
0.13%
0 .4 5 %
25
4
12
16
7
9 .4 3 %
5.92%
19.20%
28.52%
1 1 .6 9 %
1 9 .6 4 %
8.08%
31.74%
36.74%
1 9 .1 2 %
3 8 .5 7 %
13.71%
48.37%
52.12%
3 1 .1 4 %
2 3 .1 4 %
11.68%
32.92%
37.29%
1 6 .9 4 %
1 .3 0 %
1.10%
1.26%
0.55%
2 .4 4 %
0 .0 3 %
0.03%
0.03%
0.04%
1 .3 9 %
14
4
5
11
1 2 .3 7 %
0.94%
23.21%
14.52%
1 7 .6 9 %
2.73%
29.47%
37.67%
3 2 .6 3 %
18.08%
49.92%
47.12%
9 .2 6 %
1.35%
13.56%
17.47%
0 .5 8 %
0.00%
1.29%
4.17%
1 .7 7 %
2.23%
3.91%
4.54%
1 .7 4 %
2.27%
0.14%
4.11%
26
3 0 .7 3 %
4 8 .3 5 %
5 8 .9 2 %
6 7 .8 4 %
11
19
35.53%
30.83%
48.87%
47.68%
54.04%
64.86%
48.80%
89.49%
0 .0 2 %
0.00%
0 .2 9 %
0.00%
0 .5 9 %
0.02%
0 .0 7 %
0.04%
10
3 8 .2 4 %
5 7 .8 9 %
6 1 .5 5 %
7 2 .9 0 %
8
5
0.43%
0 .0 0 %
1.09%
0 .0 0 %
1.98%
0 .1 0 %
0.18%
3 .1 7 %
7
31.39%
61.55%
86.80%
87.57%
35
14
13
25
0 .1 5 %
0.95%
0.61%
0.23%
0 .9 6 %
3.67%
1.18%
0.64%
5 .1 2 %
6.72%
3.33%
6.76%
2 .3 5 %
2.97%
1.37%
2.33%
29
12
11
21
1 2 .1 1 %
7.27%
30.03%
25.53%
2 3 .7 5 %
20.32%
54.23%
35.52%
3 7 .2 8 %
29.79%
61.76%
63.84%
2 2 .6 9 %
17.81%
51.65%
65.08%
N
N
LGD
25t h
50t h
75t h
W.A
55
0 .2 4 %
0 .9 1 %
1 .5 0 %
1 .4 0 %
15
68
58
26
59
36
0.16%
0 .4 5 %
0.32%
0.51%
0.74%
0 .2 2 %
1.62%
1 .0 6 %
0.88%
1.51%
1.96%
0 .4 7 %
3.56%
2 .0 6 %
1.31%
3.08%
4.26%
1 .0 9 %
18
62
55
26
53
45
0.22%
0 .4 1 %
0.36%
0.27%
0.51%
0 .1 5 %
1.12%
0 .6 9 %
0.59%
0.75%
1.15%
0 .5 8 %
3.26%
1 .4 0 %
1.07%
1.48%
2.64%
1 .6 6 %
N
50t h
75t h
W.A
5 5 2 8 .2 4 %
3 7 .3 7 %
4 5 .0 0 %
3 4 .8 8 %
2.23%
0 .7 2 %
0.54%
1.96%
2.21%
0 .7 7 %
15 22.11%
6 8 1 4 .7 5 %
58 11.35%
28 33.44%
58 25.69%
3 9 3 7 .3 8 %
30.99%
2 0 .0 7 %
14.48%
53.04%
42.93%
4 1 .5 1 %
40.10%
3 1 .8 4 %
19.98%
67.24%
55.98%
4 5 .0 0 %
20.55%
1 9 .1 4 %
17.35%
67.05%
29.30%
4 7 .3 5 %
1.73%
0 .8 6 %
0.87%
0.79%
0.84%
1 .1 2 %
18 20.21%
6 3 1 3 .2 6 %
57 10.63%
27 30.45%
54 24.58%
4 5 3 2 .0 1 %
37.57%
1 7 .9 9 %
13.68%
51.13%
41.64%
4 0 .0 6 %
45.00%
2 5 .3 2 %
19.18%
66.90%
53.68%
4 5 .0 0 %
21.44%
2 3 .2 8 %
11.67%
83.17%
12.10%
3 5 .7 8 %
N
25t h
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Can ad a
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Ch in a
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Ho n g Ko n g
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
In d ia
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Ko r ea Rep u b lic Of
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Ru ssian Fed er at io n
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Downloaded by Mark Fesenco (markfesenco2001@gmail.com)
21
0.22%
0.88%
3.99%
4.70%
27.47%
41.74%
45.00%
21.50%
60
52
25
49
37
0 .3 6 %
0.22%
0.30%
0.47%
0 .3 3 %
0 .7 1 %
0.61%
0.52%
1.00%
0 .8 1 %
1 .5 1 %
1.14%
0.96%
2.32%
2 .1 1 %
0 .6 3 %
0.42%
0.97%
0.90%
2 .3 1 %
6 0 1 3 .1 3 %
53 10.15%
25 32.40%
49 16.20%
3 9 3 1 .5 0 %
22
1 6 .3 1 %
13.81%
52.54%
37.77%
4 2 .1 1 %
2 4 .4 6 %
17.92%
64.25%
53.24%
4 5 .0 0 %
3 3 .2 4 %
10.10%
95.87%
22.38%
4 4 .7 0 %
13
60
47
24
48
33
0.86%
0 .4 0 %
0.13%
0.37%
1.23%
0 .1 0 %
2.11%
0 .9 6 %
0.52%
1.44%
3.00%
0 .3 2 %
2.56%
2 .4 1 %
1.61%
3.86%
7.23%
1 .1 2 %
0.54%
7 .6 8 %
2.62%
13.13%
6.41%
0 .7 1 %
14 28.37%
5 9 1 3 .7 9 %
46 10.80%
27 37.36%
47 33.68%
3 3 3 5 .6 4 %
44.21%
2 1 .6 8 %
14.92%
57.93%
47.38%
4 0 .1 9 %
45.00%
3 8 .1 7 %
24.50%
72.05%
56.09%
4 5 .0 0 %
31.93%
5 3 .4 0 %
36.87%
79.40%
57.92%
3 5 .8 4 %
7
52
38
22
45
53
0.46%
0 .2 2 %
0.14%
0.11%
0.45%
0 .3 6 %
1.32%
0 .5 3 %
0.36%
0.72%
0.96%
0 .7 5 %
3.07%
1 .0 5 %
0.73%
1.65%
2.25%
1 .8 4 %
2.96%
0 .8 6 %
0.20%
0.48%
2.14%
0 .5 2 %
7 45.00%
5 2 1 3 .9 2 %
39 10.00%
25 41.70%
44 23.91%
5 2 3 2 .3 2 %
45.00%
2 3 .8 0 %
13.98%
57.32%
38.14%
4 1 .6 0 %
48.29%
3 4 .3 9 %
22.11%
72.76%
56.01%
4 5 .0 0 %
18.76%
3 6 .6 4 %
9.98%
75.17%
77.94%
3 9 .0 0 %
13
61
54
25
55
0.56%
0 .7 5 %
0.56%
0.33%
0.76%
1.39%
1 .3 1 %
1.24%
0.92%
2.22%
2.81%
3 .0 1 %
2.91%
3.23%
7.01%
2.40%
2 .2 8 %
2.23%
2.03%
1.87%
13
7.58%
6 3 1 4 .4 8 %
55 11.99%
27 31.65%
56 27.78%
37.10%
1 9 .8 5 %
15.39%
59.01%
38.89%
45.00%
2 5 .4 7 %
22.19%
72.98%
53.95%
43.84%
1 8 .7 9 %
18.42%
60.99%
17.61%
lOMoARcPSD|26227685
25th = 25th percentilE;
50th = 50th percentile;
75th = 75th percentile;
W.A = weighted average;
N = Number of observations
Tab le 1
Risk Par am e t e r s st at ist ics b y coun t r y of t h e coun t e r p ar t y f or IRB b an ks
EU an d m ain n o n -EU co u n t r ies
2 0 2 0 Q2
(So u r ce COREP C 9.02)
On ly st at ist ics f o r co u n t ries h av in g m o re t h an 3 b an ks rep o rt in g in t h at p art icu lar co u n t ry are sh o w n
Def au lt r at e
Cor p or at e s
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Lo ss r at e
25t h
50t h
75t h
W.A
12
0 .9 4 %
2 .4 2 %
4 .2 7 %
2 .3 7 %
20
8
7
15
11
0 .0 2 %
0.00%
0.02%
0.02%
0 .0 0 %
0 .1 4 %
0.03%
0.15%
0.37%
0 .0 2 %
0 .5 9 %
1.12%
7.63%
2.03%
0 .7 8 %
4
45
26
18
35
26
0.00%
0 .2 8 %
0.52%
0.56%
0.28%
0 .1 1 %
0.00%
0 .6 3 %
0.93%
0.79%
1.17%
0 .7 3 %
45
22
20
36
0 .1 1 %
0.22%
0.71%
0.21%
0 .5 1 %
0.77%
1.19%
0.72%
N
PD - ad ju st ed
25t h
50t h
75t h
W.A
9
3 0 .1 8 %
3 3 .8 2 %
6 5 .1 4 %
5 1 .6 4 %
0 .0 7 %
0.07%
0.08%
0.05%
1 .5 4 %
15
4
5
12
5
7 .5 6 %
5.20%
26.07%
30.94%
7 .2 0 %
2 6 .3 8 %
5.78%
31.36%
45.01%
1 6 .0 9 %
3 7 .1 0 %
6.34%
32.22%
63.48%
3 9 .0 1 %
0.14%
1 .2 9 %
3.57%
1.85%
3.41%
1 .4 0 %
0.05%
0 .3 6 %
0.38%
0.89%
0.63%
0 .9 2 %
37
21
16
30
17
1 4 .1 6 %
7.97%
27.69%
23.98%
7 .5 1 %
2 0 .9 7 %
12.13%
33.05%
38.81%
1 3 .9 2 %
1 .4 9 %
3.73%
2.12%
2.81%
1 .2 2 %
0.34%
0.03%
3.62%
38
16
19
30
1 1 .2 1 %
6.58%
21.62%
18.80%
1 9 .3 8 %
11.22%
34.12%
34.62%
N
50t h
75t h
W.A
41
0 .2 5 %
1 .1 1 %
2 .3 3 %
2 .6 8 %
2 0 .3 5 %
6.40%
32.27%
63.83%
2 .0 6 %
16
66
57
25
54
73
0.44%
0 .3 2 %
0.23%
0.15%
0.36%
0 .3 2 %
0.72%
0 .6 1 %
0.40%
0.63%
0.64%
0 .6 8 %
1.17%
1 .2 1 %
1.04%
1.19%
2.62%
1 .2 1 %
2 8 .6 7 %
20.25%
44.78%
49.49%
2 1 .2 9 %
1 5 .7 1 %
11.42%
33.54%
28.80%
1 8 .8 0 %
40
72
68
32
62
73
0.62%
0 .8 2 %
0.67%
0.53%
1.05%
0 .3 5 %
1.34%
1 .5 6 %
1.32%
1.05%
2.11%
0 .6 9 %
3 5 .1 3 %
15.76%
45.49%
54.53%
1 2 .9 2 %
7.02%
19.74%
14.46%
42
70
67
25
62
1.00%
0 .6 4 %
0.50%
0.47%
1.04%
1.96%
1 .1 5 %
0.99%
1.43%
2.22%
Co r p o r at es - Of Wh ich : SME
Sin g ap o r e
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Sw it zer lan d
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
Cor p or at e s
Co r p o r at es - Of Wh ich : Sp ecialised Len d in
Co r p o r at es - Of Wh ich : SME
Un it ed St at es
Re t ail
Ret ail - Secu r ed o n r eal est at e p r o p er t y
Ret ail - Qu alif yin g Revo lvin g
Ret ail - Ot h er Ret ail
LGD
25t h
Downloaded by Mark Fesenco (markfesenco2001@gmail.com)
N
50t h
75t h
W.A
4 3 2 9 .3 5 %
3 6 .7 2 %
4 3 .9 4 %
3 1 .6 9 %
4.25%
0 .8 2 %
0.42%
3.16%
1.22%
0 .8 0 %
17 17.25%
6 6 1 2 .9 7 %
57 12.97%
25 32.29%
54 17.84%
7 2 3 0 .7 1 %
38.62%
1 6 .5 3 %
15.26%
51.46%
36.69%
3 9 .8 0 %
46.00%
2 4 .2 0 %
18.06%
65.83%
50.44%
4 5 .0 0 %
28.79%
2 2 .1 9 %
16.08%
71.26%
16.92%
3 2 .6 2 %
3.54%
2 .9 2 %
2.12%
2.07%
3.83%
1 .3 4 %
2.04%
0 .8 8 %
0.82%
1.84%
1.10%
1 .2 0 %
40 26.12%
7 2 1 5 .2 0 %
69 12.52%
33 31.82%
61 25.51%
7 2 2 9 .5 8 %
36.47%
1 8 .7 4 %
16.00%
46.14%
35.53%
4 0 .2 1 %
41.93%
2 2 .6 8 %
21.14%
68.70%
48.26%
4 5 .0 0 %
27.26%
1 9 .1 2 %
19.35%
52.82%
16.64%
2 9 .8 0 %
8.35%
2 .4 5 %
2.34%
2.97%
4.33%
2.78%
2 .0 1 %
0.98%
2.52%
2.75%
42 24.40%
7 2 1 5 .6 1 %
68 11.73%
29 31.63%
61 29.55%
39.87%
2 0 .8 9 %
16.66%
56.00%
37.33%
45.00%
2 8 .0 9 %
23.54%
68.65%
51.64%
21.91%
4 8 .0 9 %
46.01%
92.95%
33.49%
N
25t h
lOMoARcPSD|26227685
The aim of this disclosure is to increase transparency regarding credit risk parameters of EU banks based on
supervisory reporting data that the EBA collects on a quarterly basis.
Given the differences in the definition and computation of the risk parameters outlined below, a comparison
between PD and DR or between LGD and LR is not straightforward and any conclusions should be interpreted
with caution.
● Scope (COREP 9.02)
- IRB banks
- PDs (adjusted), LGDs, Default rates (DR), Loss rates (LR)
- Asset classes: Corporate, Retail (breakdown)
- By country of the counterparty (EU and main non eu countries)
- Frequency: Quarterly (starting from Q1 2015)*
- Stats: n obs, 25th , 50th, 75th and Weighted Average (by non defaulted exposure for PDs and LGDs).
*DR and LR from 2015 Q1 to 2015 Q3 are not provided as they are computed as the sum of the last 4 quarters (see below).
● PD_Adjusted (on non defaulted)
PDs reported in COREP (C9.02) - Geographical breakdown of exposures by residence of the obligor (IRB exposures) – are computed as a weighted
average of Defaulted and no Defaulted exposures and are expressed on a yearly basis.
PD_Corep= “PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)” (c. 080)
where 𝑃𝑃𝑃𝑃𝑑𝑑𝐶𝐶𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 =1;
𝑃𝑃𝑃𝑃𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶 =
𝑃𝑃𝑃𝑃𝑛𝑛𝐶𝐶𝑛𝑛_𝑑𝑑𝐶𝐶𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 ∗ 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝑛𝑛𝐶𝐶𝑛𝑛_𝑑𝑑𝐶𝐶𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 + 𝑃𝑃𝑃𝑃𝑑𝑑𝐶𝐶𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 ∗ 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝑑𝑑𝐶𝐶𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝑇𝑇𝐶𝐶𝑑𝑑𝑑𝑑𝑑𝑑
We can derive the PD on non defaulted (that we call PD_Adjusted) as follows:
𝑃𝑃𝑃𝑃_𝐴𝐴𝐴𝐴𝐴𝐴𝐸𝐸𝐸𝐸𝐴𝐴𝐸𝐸𝐴𝐴 = 𝑃𝑃𝑃𝑃𝑛𝑛𝐶𝐶𝑛𝑛_𝑑𝑑𝐶𝐶𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝑇𝑇𝐶𝐶𝑑𝑑𝑑𝑑𝑑𝑑 ∗ 𝑃𝑃𝑃𝑃𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶 − 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝑑𝑑𝐶𝐶𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 𝑐𝑐𝐸𝐸𝑐𝑐𝐸𝐸𝑐𝑐𝑐𝑐 010 ∗ 𝑐𝑐𝐸𝐸𝑐𝑐𝐸𝐸𝑐𝑐𝑐𝑐 080 − 𝑐𝑐𝐸𝐸𝑐𝑐𝐸𝐸𝑐𝑐𝑐𝑐𝑐𝑐𝑐
=
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝑛𝑛𝐶𝐶𝑛𝑛_𝑑𝑑𝐶𝐶𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑
𝑐𝑐𝐸𝐸𝑐𝑐𝐸𝐸𝑐𝑐𝑐𝑐𝑐𝑐𝑐 − 𝑐𝑐𝐸𝐸𝑐𝑐𝐸𝐸𝑐𝑐𝑐𝑐𝑐𝑐𝑐
For the PD_Adjusted the weighted average shown in the tables with the other statistics is computed using the No-defaulted exposure.
● LGD
We don't apply any transformation to the LGDs shown in the tables as they are computed on no-Defaulted exposure.
LGD: “EXPOSURE WEIGHTED AVERAGE LGD (%)” (c. 090)
● Default rate
The default rate is not provided in COREP so it is computed as follows:
Observed new defaults for the period
DR= Original exposure –Defaulted exposure =
𝑐𝑐𝐶𝐶𝑑𝑑𝑑𝑑𝑐𝑐𝑛𝑛 040
𝑐𝑐𝐶𝐶𝑑𝑑𝑑𝑑𝑐𝑐𝑛𝑛 010−𝑐𝑐𝐶𝐶𝑑𝑑𝑑𝑑𝑐𝑐𝑛𝑛 030
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lOMoARcPSD|26227685
Where the Observed new defaulted of the periods are the ones at the end of the period
And the Defaulted exposures are the ones at the beginning of the period.
The Default rate is computed on a yearly basis , that is, we consider the sum of the last four quarters for the numerator (flows) and the average
of the last four quarters for the denominator (stocks). For instance the Default rate for 2016 Q3 will be :
=
Where
and
∑3𝑖𝑖=0 𝑂𝑂𝑂𝑂𝑂𝑂𝐶𝐶𝐶𝐶.𝑛𝑛𝐶𝐶𝑛𝑛 𝑑𝑑𝐶𝐶𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑂𝑂𝑄𝑄−𝑖𝑖
∑3 𝑁𝑁𝑁𝑁 𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 𝑑𝑑𝑒𝑒𝑒𝑒𝑁𝑁𝑒𝑒𝑑𝑑𝑒𝑒𝑑𝑑𝑄𝑄−𝑖𝑖
𝑖𝑖=0
4
No defaulted exp = (Original exposure – Defaulted exposure)
(Q-i) = Quarter expressed as a lag of the actual one.
● Loss rate
Loss rate is not provided in COREP so it is computed as follows:
LR=
Credit risk adjustments (write−offs for observed new defaults) 𝑐𝑐𝐶𝐶𝑑𝑑𝑑𝑑𝑐𝑐𝑛𝑛 070
= 𝑐𝑐𝐶𝐶𝑑𝑑𝑑𝑑𝑐𝑐𝑛𝑛 040
Observed new defaults for the period
To express it on yearly basis we apply:
=
∑3𝑖𝑖=0 "𝐶𝐶𝐶𝐶𝐶𝐶𝑑𝑑𝐶𝐶𝑑𝑑 𝐶𝐶𝐶𝐶𝑂𝑂𝑟𝑟 𝑑𝑑𝑑𝑑𝑎𝑎𝑑𝑑𝑂𝑂𝑑𝑑𝑐𝑐𝐶𝐶𝑛𝑛𝑑𝑑𝑂𝑂 "𝑄𝑄−𝑖𝑖
∑3𝑖𝑖=0 𝑂𝑂𝑂𝑂𝑂𝑂𝐶𝐶𝐶𝐶.𝑛𝑛𝐶𝐶𝑛𝑛 𝑑𝑑𝐶𝐶𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑂𝑂𝑄𝑄−𝑖𝑖
Downloaded by Mark Fesenco (markfesenco2001@gmail.com)